On an approximation problem for stochastic integrals where random time nets do not help

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:116

Article

Geiss, C ; Geiss, S

关键词: approximation;    stochastic integrals;    random time nets;   

DOI  :  10.1016/j.spa.2005.10.002

来源: Elsevier

【 摘 要 】

Given a geometric Brownian motion S = (S-t)(t is an element of[0,T]) and a Borel measurable function g:(0, infinity)-> R such that g(S-T) is an element of L-2, we approximate g(S-T)-Eg(S-T) by [GRAPHICS] where 0=tau(0)<=center dot center dot center dot <=tau(n)=T is an increasing sequence of stopping times and the v(i-1) are F tau i-1-measurable random variables such that Ev(i-1)(2)(S-tau i-S tau i-1)(2)

【 授权许可】

Free